Var

AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

Var

Postby AMITAG1990 » Fri Nov 09, 2012 12:50 pm

hi, actually i have one doubt regarding the use of one tail and two tail distribution in relation with VaR. Actually in VaR que most of time they uses a one tail value and some times uses a two tail Z value. please some one can tell me how to recognise this in VaR.

Tags:

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: Var

Postby content.pristine » Sat Nov 10, 2012 11:40 am

For VaR, you should always use 1-tail Z value.
However, if that is not available, you need to use the 2 tail.
For example, 95% VaR, you would need 95% one tail, or 90% 2 tail (5% on each side)
They will give you the same Z value

8-)


Return to “FRM Part I”



Disclaimer

Global Association of Risk Professionals, Inc. (GARP®) does not endorse, promote, review or warrant the accuracy of the products or services offered by EduPristine for FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to EduPristine nor is GARP® responsible for any fees or costs of any person or entity providing any services to EduPristine Study Program. FRM®, GARP® and Global Association of Risk Professionals®, are trademarks owned by the Global Association of Risk Professionals, Inc

CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by EduPristine. CFA Institute, CFA®, Claritas® and Chartered Financial Analyst® are trademarks owned by CFA Institute.

Utmost care has been taken to ensure that there is no copyright violation or infringement in any of our content. Still, in case you feel that there is any copyright violation of any kind please send a mail to abuse@edupristine.com and we will rectify it.